An Introduction to Time Series Panel Data

An Introduction to Time Series Panel Data

Enrol Here
Enrol Here
360,00 €
Guaranteed safe and secure checkout
–
2 Days
Online via Zoom
Stata

Overview

Panel time series models are essential tools in modern applied econometrics, enabling researchers to analyze data with both temporal and cross-sectional dimensions. This two-day, interactive online seminar introduces participants to the estimation and interpretation of time series panel data models using Stata.

 

Participants will explore key challenges such as slope heterogeneity, structural breaks, and cross-sectional dependence, while gaining hands-on experience with both static and dynamic panel model estimation. The course focuses on intuitive explanations supported by practical exercises in Stata, and is designed for researchers with a basic understanding of panel data and time series analysis.

 

 

Course Aims & Objectives

  • Introduce key econometric concepts in panel time series models with large N and T dimensions.

  • Explore issues such as heterogeneity, cross-sectional dependence, and structural breaks.

  • Provide practical experience with estimation techniques for static and dynamic models.

  • Equip participants with hands-on skills using Stata for analyzing complex panel datasets.

 

 

Key Skills Acquired

By the end of the course, students will understand:

  • The structure and properties of panel time series data (large N and T).

  • How to test for and model slope heterogeneity and structural breaks.

  • How to detect and address cross-sectional dependence in panel datasets.

  • Estimation strategies for static and dynamic models using advanced estimators (CCE, CS-ARDL, etc.).

  • How to implement panel time series techniques effectively in Stata.

 

 

Learning Outcomes

  • Conceptual Understanding: Develop a clear understanding of the theoretical challenges in time series panel models and how to address them.

  • Technical Application: Gain experience using modern estimation techniques including Common Correlated Effects and interactive fixed effects.

  • Data Diagnosis & Estimation: Learn how to diagnose cross-sectional dependence and heterogeneity and apply tailored estimation tools accordingly.

  • Practical Skills: Apply course methods to real-world research questions in macroeconomics, development, finance, and growth empirics using Stata.

 

 

Course Structure

Format: Two-day online seminar
Daily Sessions: 10:00–12:00 & 14:00–16:00 (BST)
Q&A: 1-hour concluding session on Day 2
Total contact time: 8 hours of instruction + 1 hour Q&A

Agenda

Day 1

Session 1 (10:00-12:00 London time): Introduction into Panel Time Series models

Basics, Advantages and Challenges:

  • Introduction, what does large N and T mean?
  • Fixed Effects vs. Group Fixed Effects vs. Iterative Fixed Effects
  • Time Series properties

 

 

Heterogeneity of slopes

  • Estimation of and testing for structural breaks
  • Tests for slope heterogeneity
  • Stata implementation
Session 2 (14:00-16:00 London time) : Cross-Sectional Dependence (CSD)

Cross-Section Dependence

  • Definition and different measures of CSD 
  • CSD and common factors 
  • Estimation of the exponent of CSD
  • Tests for strong CSD 
  •  Stata implementation 
Day 2

Session 3: (10:00 - 12:00 London time): Static Models with CSD

Estimation of static models in the presence of CSD 

  • Introduction 
  • Common Correlated Effects Estimator (CCE) with pooled and mean group coefficients 
  • Principal Component Estimator 
  • IV-DF Estimator 
  • Stata exercises 
Session 4: (14:00 - 16:00 London time): Dynamic Models with CSD and Outlook

Dynamic Models and estimation of long run effects 

  • Dynamic CCE
  • Estimation of long run coefficients using the CS-DL and CS-ARDL estimator 
  • Stata exercises 

 

Outlook 

  • Interactive fixed effects and spatial models 
  • Relevance and estimation of dominant units 
  • Endogeneity in panel time series 

Prerequisites

A basic understanding of panel data and time series econometrics is required, particularly familiarity with fixed effects models. Prior experience with Stata is recommended, as the course includes hands-on exercises using Stata software.

 

 

 

Recommended Reading

Participants are encouraged to review the following introductory materials prior to the course:

  • Smith, R. P., and A.-M. Fuertes (2012). Panel Time-Series.

  • Sul, D. (2019). Panel Data Econometrics: Common Factor Analysis for Empirical Researchers.

These readings provide helpful background on panel time series methods and common factor approaches that will be explored during the course.

Course Timetable

Subject to minor changes
Day Morning Session Afternoon Session (including tutorial)
Day One 10am-12pm (London time) 2pm-4pm (London time)
Day Two 10am-12pm (London time) 2pm-4pm (London time)

Livré par